"The rationale behind taking FNM and FRE out is that their market caps were below the $5bln threshold required for inclusion. However, as of Tuesday there were only 381 stocks in the S&P 500 with market caps of more than $5 bln, and in the US there aren’t even 500 stocks with a market cap of more than $5 bln!"

Furthermore, CNBC colleague Juan Aruego discovered another index anomoly due to the Fannie-Freddie eviction. Their ousting has actually caused the Q3 consensus earnings estimate to go negative, since both companies were on-tap to post a sharp rebound from their disastrous year-ago results.